Volatility Market Review / Preview
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1 Interactive Brokers Webcast Volatility Market Review / Preview Russell Rhoads, CFA Director The Options Institute
2 Disclosure Options involve risks and are not suitable for all investors. Prior to buying or selling an option, an investor must receive a copy of Characteristics and Risks of Standardized Options. Copies are available from your broker, by calling OPTIONS, or from The Options Clearing Corporation at Futures trading is not suitable for all investors and involves risk of loss. The information in this presentation is provided solely for general education and information purposes. No statement within this presentation should be construed as a recommendation to buy or sell a security or to provide investment advice. Any strategies discussed, including examples using actual price data, are strictly for illustrative and educational purposes only. In order to simplify the computations, commissions, fees, margin interest and taxes have not been included in the examples used in this presentation. These costs will impact the outcome of all transactions and must be considered prior to entering into any transactions. Multiple leg strategies involve multiple commission charges. Investors should consult with their tax advisors to determine how the profit and loss on any particular strategy will be taxed. Past performance does not guarantee future results. Supporting documentation for any claims, comparisons, statistics or other technical data in this presentation is available from CBOE upon request. CBOE, Chicago Board & Poor s makes no representation regarding the advisability of investing in such products. CBOptions Exchange and VIX are registered trademarks and RVX, SKEW, The Options Institute, VVIX, VXST, VXMT, VXV and Weeklys are service marks of Chicago Board Options Exchange, Incorporated (CBOE). Russell and Russell 2000 are registered trademarks of the Frank Russell Company, used under license. S&P and S&P 500 are registered trademarks of Standard and Poor's Financial Services, LLC and are licensed for use by CBOE. Financial products based on S&P indices are not sponsored, endorsed, sold or promoted by Standard & Poor s, and Standard OE is not affiliated with Interactive Brokers. This presentation should not be construed as an endorsement or an indication by CBOE of the value of any non- CBOE product or service described in this presentation. Copyright 2016 CBOE. All rights reserved CBOE OPTIONS INSTITUTE 2
3 Volatility Market Review / Preview Outline VIX Index in 2015 Russell 2000 Volatility VIX Weeklys SM VIX Related ETPs Summary / Links CBOE OPTIONS INSTITUTE 3
4 CBOE Volatility Index 2015 Price Action VIX vs. S&P S&P VIX Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec Data Sources: CBOE & Bloomberg CBOE OPTIONS INSTITUTE 4
5 CBOE Volatility Index 2015 in Context VIX Statistics Average High Low H / L Range H/L Percent Range S&P % 8.99% % 3.00% % 13.62% % 3.53% % % % 23.45% % 12.78% % 0.00% % 13.41% % 29.60% % 11.39% % -0.73% Data Sources: CBOE & Bloomberg CBOE OPTIONS INSTITUTE 5
6 CBOE Volatility Index VIX 2015 in Context 26 Years of VIX Data Source: CBOE CBOE OPTIONS INSTITUTE 6
7 CBOE Volatility Index Long-Term Moving Averages Year Years 5 Years Data Source: CBOE CBOE OPTIONS INSTITUTE 7
8 CBOE Volatility Index 2015 in Context 26 Years of SKEW Data Source: CBOE CBOE OPTIONS INSTITUTE 8
9 CBOE Volatility Index 2015 in Context 9 Years of VVIX All-time high 8/24/ Data Source: CBOE CBOE OPTIONS INSTITUTE 9
10 CBOE Volatility Index 2015 in Context VXST VIX VXV VXMT Term Structure Averages Averages 12 VXST VIX VXV VXMT Data Source: CBOE CBOE OPTIONS INSTITUTE 10
11 Russell 2000 Index RUT vs. SPX Price Performance Monthly S&P Russell Data Source: Bloomberg CBOE OPTIONS INSTITUTE 11
12 Russell 2000 Index RUT vs. SPX Monthly Relative Performance Russell 2000 vs. S&P % 12% 10% 8% SPX > RUT RUT > SPX 6% 4% 2% 0% -6% -5% -4% -3% -2% -1% 0% 1% 2% 3% 4% 5% 6% Data Source: Bloomberg CBOE OPTIONS INSTITUTE 12
13 CBOE Russell 2000 Volatility Index 2015 Price Action RVX vs. Russell Russell RVX Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec Data Sources: CBOE & Bloomberg CBOE OPTIONS INSTITUTE 13
14 CBOE Russell 2000 Volatility Index 2015 in Context RVX Statistics Average High Low H / L Range H/L Percent Range Russell % 17.00% % 3.32% % 17.00% % -2.75% % % % 25.22% % 25.31% % -5.45% % 14.63% % 37.00% % 3.53% % -5.71% Data Sources: CBOE & Bloomberg CBOE OPTIONS INSTITUTE 14
15 CBOE Russell 2000 Volatility Index RVX 2015 in Context 12 Years of RVX Data Source: CBOE CBOE OPTIONS INSTITUTE 15
16 Russell 2000 Volatility Index RVX 2015 in Context 2015 RVX vs. VIX 50% 40% RVX / VIX Premium 30% 20% 10% 0% -10% Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Data Source: CBOE CBOE OPTIONS INSTITUTE 16
17 VIX Weeklys Introduction VIX Weeklys futures were introduced in late July Short dated VIX options were launched in early October Historically (before Weeklys) VIX futures were not as responsive to spot VIX price changes when there were several weeks remaining to expiration VIX futures have historically tracked VIX very closely as expiration approaches we are consistently seeing this with the new VIX Weeklys CBOE OPTIONS INSTITUTE 17
18 VIX Weeklys Price Chart 5 Minute Prices VIX vs. Sep 9 th VIX Sep 9th VIX Future 27 Spot VIX /02/15 09/03/15 09/04/15 09/08/15 Data Sources: CBOE & Bloomberg CBOE OPTIONS INSTITUTE 18
19 VIX Related Exchange Traded Products 2015 Performance Selected ETP Performance Long Short Term ETPs 12/31/ /31/2015 Change Percent ipath S&P 500 VIX ST Futures ETN VXX % ProShares VIX Short-Term Futures ETF VIXY % VelocityShares Long VIX ST ETN VIIX % Long Mid Term ETP ipath S&P 500 VIX MT Futures ETN VXZ % Leveraged Long Short Term ETPs VelocityShares Daily 2x VIX ST ETN TVIX % ProShares Ultra VIX Short Term Fut ETF UVXY % Inverse Short Term ETPS VelocityShares Daily Inverse VIX ST ETN XIV % ProShares Short VIX Short Term Fut ETF SVXY % Inverse Mid Term Futures ETP VelocityShares Daily Inverse VIX MT ETN ZIV % Data Source: Bloomberg CBOE OPTIONS INSTITUTE 19
20 Volatility Market Review / Preview Summary VIX averaged highest level since 2012 as the S&P 500 was lower on the year RVX average for 2015 was in line with 2014 despite small cap stocks having a rough year SKEW, VVIX, and the RVX VIX relationship may be going through a structural change due to market conditions VIX Weeklys futures and options have attracted interest despite only available to trade for a few months Both long and short volatility oriented ETPs had a tough year in 2015 CBOE OPTIONS INSTITUTE 20
21 Volatility Market Review / Preview Links / Contact Links Contact rhoads@cboe.com CBOE OPTIONS INSTITUTE 21
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